控股权转让内幕交易的实证研究  

An Empirical Study of the Inside Trading in PLCs' Takeover

作　　者：刘志远[1] 鄂华[1] 

机构地区：[1]南开大学国际商学院

出　　处：《中国会计评论》2003年第0期51-76,共26页China Accounting Review

摘　　要：本文采用事件研究法,以1997年到2000年44家控股权协议转让的上市公司为样本公司,研究了控股权转让公告日前后的非正常报酬、交易量和β系数的波动以及非正常报酬和交易量的相关性,研究结果表明:我国证券市场已经达到半强式有效,但这种结果的产生并不是股价在公告当日对信息调整迅速的结果,而是内幕交易泛滥的表现。Using a sample of 44 Public Listed Companies (PLCs) which had been taken over from 1997 to 2000, the paper employs event study as research method and analyzes the abnormal return, trading volume and β value fluctuation in the event window, as well as the relationship between abnormal return with trading volume. It finds that Chinese stock market has reached semistrong form efficiency. Further analysis shows that this fact does not result from rapid price adjustment on the announcement day of the takeover agreement, but from broad inside trading existing in Chinese stock market.

关 键 词：控股权转让 内幕交易 半强式有效 

分 类 号：F832.51[经济管理—金融学]